Senior Manager of Risk Models & Validation (exciting retail bank start-up) recruitment
This is a green-field opportunity to join a major new institution that will change the landscape of UK high street banking.
Risk Models Validation team within Market Liquidity Risk is responsible for the development of market risk measurement models and methodologies for the banking books such as Earning at Risk, Value at Risk, Stress Testing, and Net Interest Income Sensitivity and for Independent validation of pricing and risk models for market, liquidity and behavioural risk and stress testing models, ensuring that these are of sufficient quality to achieve the bank's regulatory objectives.
The team also develops prototypes for implementation of such methodologies, liaises with the relevant risk functions for approval of such methodology and supports the validation of risk models through creation of challenger models and alternative analysis.
RESPONSIBILITIES:
- Support the risk managers by validating any market and liquidity risk measurement models developed in the business areas or embedded in core Treasury systems.
- Research and propose methodology enhancements arising from regulatory developments, new product coverage and to improve current methodologies.
- Develop Risk measurement methodologies (e.g. VaR and stress testing) Liquidity Risk management methodologies and where applicable, development of infrastructure used to compute these metrics
- Maintain current market and liquidity risk models, testing and implementation of methodology enhancements.
- Provide quantitative and theoretical support to other team members
- Ensure that proposed methodologies for Risk models fully comply with FSA regulartory requirements.
- Lead deep dive reviews of Risk Modelling capability for Treasury, market and liquidity risk
- Contribute to the modelling assessment of the risk profile of the business and reporting of this to senior management
- Positive contribution to the success of Market Liquidity Risk team so that it is seen as a great place to work
- Work to establish a strong culture within the team of accountability, empowerment and proactive contribution to the development of the function to reflect rapidly evolving business needs
- Line Management of the team (initially x1): develop, counsel and appraise direct reports so that performance is of a high standard
- Manage, develop and motivate colleagues to create a high performing team to deliver business objectives
- Act as a senior source of professional expertise and input into the development of Risk policy
- Lead the implementation of medium term operational plans in the context of the strategic direction
- Provide insightful information, guidance and advice to influence business decisions
- Develop a network of external advisers and practitioners and advise on benchmark practice on new policies
- Build and maintain a high performing team to ensure colleagues are led and developed effectively
YOUR BACKGROUND:
- A higher qualification in a quantitative discipline such as Applied Mathematics, or a hard science etc. or equivalent professional qualifications in risk (e.g. PRM), treasury (e.g. AMCT/MCT) highly numerate.
- Strong skills in the use of relevant programming tools (e.g. Visual Studio, VB.net, Excel VBA; C, C-Sharp or C++ would be a bonus).
- In-depth knowledge of EaR models for IRRBB, liquidity risk, VaR and stress testing models and a sound practical understanding of market risk and liquidity risk and liquidity risk methodologies, and experience of derivative and funds transfers pricing.
- Pragmatic with the ability to distinguish the important risk modelling issues from the minor ones
- Possess a good quantatative network and strong knowledge of best practice techniques in the industry
- Flexibility – willingness to take on a variety of tasks and “get hands dirty,” and to work under pressure.
- Excellent written and oral communication skills - able to communicate complex technical ideas to a diverse audience.
- Evidence of building strong and productive relationships with key stakeholders
- Proven experience in a similar role is essential
- Retail Banking experience is essential